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Robust Desmoothed Real Estate Returns 稳健的平滑房地产回报
ERN: Model Construction & Estimation (Topic) Pub Date : 2019-06-13 DOI: 10.2139/ssrn.3403691
Jean‐Christophe Delfim, Martin Hoesli
{"title":"Robust Desmoothed Real Estate Returns","authors":"Jean‐Christophe Delfim, Martin Hoesli","doi":"10.2139/ssrn.3403691","DOIUrl":"https://doi.org/10.2139/ssrn.3403691","url":null,"abstract":"This research starts from the observation that common desmoothing models are likely to generate some extreme returns. Such returns will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction based index were available. Thus, we propose to improve the desmoothing models by incorporating a robust filter into the procedure. We report that in addition to properly treating for smoothing, the method prevents the occurrence of extreme values. As shown with U.S. data, our method leads to desmoothed series whose characteristics are akin to those of transaction-based indices.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127123149","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Optimising Forecasting Models for Inventory Planning 库存计划预测模型的优化
ERN: Model Construction & Estimation (Topic) Pub Date : 2019-03-25 DOI: 10.2139/ssrn.3363117
N. Kourentzes, J. R. Trapero, Devon K. Barrow
{"title":"Optimising Forecasting Models for Inventory Planning","authors":"N. Kourentzes, J. R. Trapero, Devon K. Barrow","doi":"10.2139/ssrn.3363117","DOIUrl":"https://doi.org/10.2139/ssrn.3363117","url":null,"abstract":"Inaccurate forecasts can be costly for company operations, in terms of stock-outs and lost sales, or over-stocking, while not meeting service level targets. The forecasting literature, often disjoint from the needs of the forecast users, has focused on providing optimal models in terms of likelihood and various accuracy metrics. However, there is evidence that this does not always lead to better inventory performance, as often the translation between forecast errors and inventory results is not linear. In this study, we consider an approach to parametrising forecasting models by directly considering appropriate inventory metrics and the current inventory policy. We propose a way to combine the competing multiple inventory objectives, i.e. meeting demand, while eliminating excessive stock, and use the resulting cost function to identify inventory optimal parameters for forecasting models. We evaluate the proposed parametrisation against established alternatives and demonstrate its performance on real data. Furthermore, we explore the connection between forecast accuracy and inventory performance and discuss the extent to which the former is an appropriate proxy of the latter.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121690859","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 46
The Joint Distributions of Japanese REIT and Equity Markets 日本房地产投资信托基金与股票市场的共同分布
ERN: Model Construction & Estimation (Topic) Pub Date : 2018-12-28 DOI: 10.2139/ssrn.3307974
Charles Shaw
{"title":"The Joint Distributions of Japanese REIT and Equity Markets","authors":"Charles Shaw","doi":"10.2139/ssrn.3307974","DOIUrl":"https://doi.org/10.2139/ssrn.3307974","url":null,"abstract":"We employ a little-used dataset to study the Japan's Real Estate Investment Trusts (REITs) market. We make use of copula theory and test for dependence between equity and REIT returns using several popular copula families. The copula families in our specification were: Gaussian, Student-t, Clayton, Frank, and Gumbel. The p-values were computed using parametric bootstrap replications. We motivate the argument presented, and provide the goodness-of-fit test results based on the Rosenblatt transform. We find that the dependence between the innovations of JREIT Composite and JREIT Office returns can be modelled by a Student-t copula with 2.7 degrees of freedom and correlation parameter v = 0.93. All other models are rejected. To the best of our knowledge, this study represents the first time that copula theory has been applied to study REITs in Japan.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"116 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129062692","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Antithetic Acceleration and Estimation of Unobserved Heterogeneity Parameters 非观测异质性参数的反加速和估计
ERN: Model Construction & Estimation (Topic) Pub Date : 2018-11-30 DOI: 10.2139/ssrn.3297698
Steven Stern, Yiyi Zhou
{"title":"Antithetic Acceleration and Estimation of Unobserved Heterogeneity Parameters","authors":"Steven Stern, Yiyi Zhou","doi":"10.2139/ssrn.3297698","DOIUrl":"https://doi.org/10.2139/ssrn.3297698","url":null,"abstract":"We show that, besides the well-known advantage of antithetic acceleratation reducing the variance of simulation error, it also reduces bias associated with estimating variance terms such as unobserved heterogeneity variance parameters. We provide proofs of the relevant asymptotics and empirical evidence from a sequence of Monte Carlo experiments.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"10 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116757810","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Alternative Tests for Correct Specification of Conditional Predictive Densities 条件预测密度正确规范的可选测试
ERN: Model Construction & Estimation (Topic) Pub Date : 2018-09-14 DOI: 10.2139/ssrn.2283980
B. Rossi, Tatevik Sekhposyan
{"title":"Alternative Tests for Correct Specification of Conditional Predictive Densities","authors":"B. Rossi, Tatevik Sekhposyan","doi":"10.2139/ssrn.2283980","DOIUrl":"https://doi.org/10.2139/ssrn.2283980","url":null,"abstract":"We propose new methods for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive densities. Monte Carlo simulation results indicate that our tests are well sized and have good power in detecting misspecifications. An empirical application to the Survey of Professional Forecasters and a baseline macroeconomic model shows the usefulness of our methodology.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"244 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123373242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 67
Stationary Threshold Vector Autoregressive Models 平稳阈值向量自回归模型
ERN: Model Construction & Estimation (Topic) Pub Date : 2018-08-05 DOI: 10.2139/ssrn.3226570
Galyna Grynkiv, Lars Stentoft
{"title":"Stationary Threshold Vector Autoregressive Models","authors":"Galyna Grynkiv, Lars Stentoft","doi":"10.2139/ssrn.3226570","DOIUrl":"https://doi.org/10.2139/ssrn.3226570","url":null,"abstract":"This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A situation related to so-called “locally explosive models”, where the stationary distribution exists though the model is explosive in one regime, is analysed. Simulations show that locally explosive models can generate some of the key properties of financial and economic data. They also show that assessing the stationarity of threshold models based on simulations might well lead to wrong conclusions.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130076914","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models 部分观测CVAR(1)模型无限阶CVAR表示中的协整与平差
ERN: Model Construction & Estimation (Topic) Pub Date : 2018-05-17 DOI: 10.2139/ssrn.3180010
S. Johansen
{"title":"Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models","authors":"S. Johansen","doi":"10.2139/ssrn.3180010","DOIUrl":"https://doi.org/10.2139/ssrn.3180010","url":null,"abstract":"A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114371237","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Identifying Accounting Quality 识别会计质量
ERN: Model Construction & Estimation (Topic) Pub Date : 2018-04-25 DOI: 10.2139/ssrn.2484958
Valeri V. Nikolaev
{"title":"Identifying Accounting Quality","authors":"Valeri V. Nikolaev","doi":"10.2139/ssrn.2484958","DOIUrl":"https://doi.org/10.2139/ssrn.2484958","url":null,"abstract":"I develop a new approach to understanding accounting accruals. Unlike prior studies, I explicitly address the economic role of accruals in performance measurement. I characterize accounting quality in terms of a new construct, namely, the degree to which accruals facilitate performance measurement. Further, I develop a flexible strategy for identifying accounting quality. The core identifying assumptions derive from institutional properties of both earnings and cash flows: that both are noisy measures of the same economic performance and they converge as the time horizon extends. These assumptions characterize moments of earnings, cash flows, and accruals solved to recover the variance of performance and accounting error in accruals. I implement several model specifications and consider a number of generalizations. My analysis suggests that the variance of the performance component exceeds accounting error and explains a high fraction of accruals’ variance. I conclude that accruals meet their objective.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128378100","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 40
A Practical Review of Methods to Estimate Overcharges Using Linear Regression 用线性回归估计超额收费方法的实用综述
ERN: Model Construction & Estimation (Topic) Pub Date : 2018-03-09 DOI: 10.2139/ssrn.3136923
R. Inderst, Christopher Milde
{"title":"A Practical Review of Methods to Estimate Overcharges Using Linear Regression","authors":"R. Inderst, Christopher Milde","doi":"10.2139/ssrn.3136923","DOIUrl":"https://doi.org/10.2139/ssrn.3136923","url":null,"abstract":"Arguably the most widely used techniques for estimating price overcharges from competition law infringements are the dummy variable and the forecasting approaches using linear regression analysis. While rarely used in practice, in this note we make use of the fully interacted dummy variable approach to review some basic properties of all three approaches. We show under which conditions and for which estimands of interest these approaches are equivalent and when they differ. We also note some interesting additional choices an interaction approach allows.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125732911","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas copula的渐近无分布拟合优度检验
ERN: Model Construction & Estimation (Topic) Pub Date : 2017-12-11 DOI: 10.2139/ssrn.3089612
S. Can, J. Einmahl, R. Laeven
{"title":"Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas","authors":"S. Can, J. Einmahl, R. Laeven","doi":"10.2139/ssrn.3089612","DOIUrl":"https://doi.org/10.2139/ssrn.3089612","url":null,"abstract":"Consider a random sample from a continuous multivariate distribution function F with copula C. In order to test the null hypothesis that C belongs to a certain parametric family, we construct an under H0 asymptotically distribution-free process that serves as a tests generator. The process is a transformation of the difference of a semi-parametric and a parametric estimator of C. This transformed empirical process converges weakly to a standard multivariate Wiener process, paving the way for a multitude of powerful asymptotically distribution-free goodness-of-fit tests for copula families. We investigate the finite-sample performance of our approach through a simulation study and illustrate its applicability with a data analysis.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115018124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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